EFFECTIVE UTILIZATION OF COMPUTATIONAL RESOURCES FOR BERMUDA OPTIONS RATIONAL PRICES ESTIMATION

A. . Gorbunova, I. . Meerov, A. . Nikonov, A. . Rusakov, A. . Shishkov


Read the full article 

Abstract

Our results in effective implementation of one algorithm of rational price determination for Bermuda options are reported in the paper. The approaches for optimization of calculations both in serial and parallel versions based on MPI and OpenMP are described. Computational results show linear speedup at clusters/SMP systems.


Keywords: Monte-Carlo methods, options pricing, parallel programming, optimization of calculations
Copyright 2001-2017 ©
Scientific and Technical Journal
of Information Technologies, Mechanics and Optics.
All rights reserved.

Яндекс.Метрика